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FINRA-Interactive Data Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/CMBS/ABS/CDO

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

OCTOBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 * * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 * * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 * * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 * * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 * * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 * * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 * * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 * * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
NOVEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 100.3 102.4 103.9 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.3 102.4 103.9 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.3 102.4 103.8 0.0 0.0 0.0 0.0
2nd Quartile Price 100.3 102.4 103.8 0.0 0.0 0.0 0.0
3rd Quartile Price 100.3 102.4 103.9 0.0 0.0 0.0 0.0
4th Quartile Price 100.4 102.4 103.9 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.4 102.4 104.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.1 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 1,088,030.9 3,519,345.8 751,729.8 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 92 129 31 0 0 0 0
FHLMC
AVERAGE PRICE 100.4 102.4 104.1 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.4 102.4 104.1 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.4 102.4 104.1 0.0 0.0 0.0 0.0
2nd Quartile Price 100.4 102.4 * 0.0 0.0 0.0 0.0
3rd Quartile Price 100.4 102.4 * 0.0 0.0 0.0 0.0
4th Quartile Price 100.4 102.4 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.4 102.4 104.1 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 241,025.0 243,500.0 38,880.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 14 11 6 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
DECEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 100.2 102.3 103.7 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.2 102.3 103.7 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.2 102.3 103.7 0.0 0.0 0.0 0.0
2nd Quartile Price 100.2 102.3 103.7 0.0 0.0 0.0 0.0
3rd Quartile Price 100.2 102.3 103.7 0.0 0.0 0.0 0.0
4th Quartile Price 100.2 102.3 103.8 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.2 102.3 103.7 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 72,500.0 1,530,350.0 575,800.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 9 38 20 0 0 0 0
FHLMC
AVERAGE PRICE 100.2 * * 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.3 * * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.2 * * 0.0 0.0 0.0 0.0
2nd Quartile Price * * * 0.0 0.0 0.0 0.0
3rd Quartile Price * * * 0.0 0.0 0.0 0.0
4th Quartile Price * * * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.2 * * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 * * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 58,000.0 * * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 6 * * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
JANUARY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 100.1 102.2 103.6 0.0 0.0 0.0 0.0
Weighted Avg. Price 100.1 102.2 103.7 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 100.1 102.2 103.6 0.0 0.0 0.0 0.0
2nd Quartile Price 100.1 102.2 103.6 0.0 0.0 0.0 0.0
3rd Quartile Price 100.1 102.2 103.6 0.0 0.0 0.0 0.0
4th Quartile Price 100.1 102.2 103.7 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 100.1 102.2 103.7 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 36,500.0 1,129,250.0 38,000.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 10 31 9 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 * 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 * 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 * 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 * 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 * 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 * 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 * 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 * 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

OCTOBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 * * 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * * 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * * 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * * 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * * 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * * 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * * 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 106.4 * 0.0 *
Weighted Avg. Price 0.0 0.0 0.0 106.5 * 0.0 *
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 105.8 * 0.0 *
2nd Quartile Price 0.0 0.0 0.0 106.1 * 0.0 *
3rd Quartile Price 0.0 0.0 0.0 106.4 * 0.0 *
4th Quartile Price 0.0 0.0 0.0 107.0 * 0.0 *
Avg. Price Top 5 Trades 0.0 0.0 0.0 107.4 * 0.0 *
Standard Deviation 0.0 0.0 0.0 0.7 * 0.0 *
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 33,913.1 * 0.0 *
     NUMBER OF TRADES 0 0 0 20 * 0 *
NOVEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 96.5 100.0 102.8 105.0 107.0 108.5 *
Weighted Avg. Price 96.4 100.0 102.8 105.0 107.0 108.5 *
Avg. Price Bottom 5 Trades 96.5 99.9 102.7 104.9 106.9 108.5 *
2nd Quartile Price * 100.0 102.8 105.0 106.9 * *
3rd Quartile Price * 100.0 102.8 105.0 107.0 * *
4th Quartile Price * 100.0 102.8 105.0 107.0 * *
Avg. Price Top 5 Trades 96.5 100.1 103.2 106.5 107.0 108.5 *
Standard Deviation 0.0 0.0 0.0 0.2 0.0 0.1 *
     VOLUME OF TRADES (000'S) 114,000.0 16,022,474.3 15,139,374.4 13,296,212.5 1,675,714.0 21,070.0 *
     NUMBER OF TRADES 9 464 863 485 96 5 *
FHLMC
AVERAGE PRICE 0.0 100.0 102.8 105.0 106.8 0.0 *
Weighted Avg. Price 0.0 100.0 102.8 105.0 106.8 0.0 *
Avg. Price Bottom 5 Trades 0.0 100.0 102.7 104.9 106.8 0.0 *
2nd Quartile Price 0.0 100.0 102.8 104.9 106.8 0.0 *
3rd Quartile Price 0.0 100.0 102.8 105.0 106.8 0.0 *
4th Quartile Price 0.0 100.0 102.8 105.0 106.9 0.0 *
Avg. Price Top 5 Trades 0.0 100.0 102.8 105.1 106.9 0.0 *
Standard Deviation 0.0 0.0 0.0 0.1 0.0 0.0 *
     VOLUME OF TRADES (000'S) 0.0 644,105.0 5,164,281.6 2,525,469.7 280,857.5 0.0 *
     NUMBER OF TRADES 0 32 77 68 27 0 *
GNMA
AVERAGE PRICE * 101.2 103.7 105.1 106.3 * *
Weighted Avg. Price * 101.1 103.7 105.1 106.3 * *
Avg. Price Bottom 5 Trades * 101.1 103.6 105.0 106.1 * *
2nd Quartile Price * 101.1 103.7 105.0 106.1 * *
3rd Quartile Price * 101.1 103.7 105.0 106.2 * *
4th Quartile Price * 101.2 103.8 105.1 106.3 * *
Avg. Price Top 5 Trades * 102.2 104.6 105.8 106.9 * *
Standard Deviation * 0.2 0.1 0.2 0.6 * *
     VOLUME OF TRADES (000'S) * 3,572,251.4 7,871,683.5 2,574,889.8 189,931.1 * *
     NUMBER OF TRADES * 165 355 163 23 * *
DECEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 99.8 102.6 104.8 106.8 * 0.0
Weighted Avg. Price 0.0 99.8 102.6 104.8 106.8 * 0.0
Avg. Price Bottom 5 Trades 0.0 99.8 102.5 104.8 106.8 * 0.0
2nd Quartile Price 0.0 99.8 102.6 104.8 106.8 * 0.0
3rd Quartile Price 0.0 99.9 102.6 104.8 106.8 * 0.0
4th Quartile Price 0.0 99.9 102.6 104.8 106.9 * 0.0
Avg. Price Top 5 Trades 0.0 99.9 102.6 104.8 106.8 * 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 0.0 6,333,896.0 5,833,550.0 4,478,600.0 386,000.0 * 0.0
     NUMBER OF TRADES 0 52 149 103 16 * 0
FHLMC
AVERAGE PRICE 0.0 99.9 102.6 104.8 * 0.0 0.0
Weighted Avg. Price 0.0 99.8 102.6 104.8 * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 99.8 102.6 104.8 * 0.0 0.0
2nd Quartile Price 0.0 99.8 102.6 104.8 * 0.0 0.0
3rd Quartile Price 0.0 99.9 102.6 104.8 * 0.0 0.0
4th Quartile Price 0.0 99.9 102.6 104.8 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 99.9 102.6 104.8 * 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 317,000.0 2,671,300.0 1,030,000.0 * 0.0 0.0
     NUMBER OF TRADES 0 9 19 11 * 0 0
GNMA
AVERAGE PRICE 0.0 101.0 103.6 105.0 106.0 0.0 0.0
Weighted Avg. Price 0.0 101.0 103.6 105.0 106.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 100.9 103.5 104.9 106.0 0.0 0.0
2nd Quartile Price 0.0 101.0 103.5 105.0 106.0 0.0 0.0
3rd Quartile Price 0.0 101.0 103.6 105.0 106.0 0.0 0.0
4th Quartile Price 0.0 101.0 103.6 105.0 106.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 101.0 103.6 105.0 106.0 0.0 0.0
Standard Deviation 0.0 0.2 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 1,229,350.0 6,190,698.0 464,756.0 126,900.0 0.0 0.0
     NUMBER OF TRADES 0 37 145 68 11 0 0
JANUARY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 99.7 102.4 104.7 106.7 0.0 0.0
Weighted Avg. Price 0.0 99.7 102.4 104.7 106.7 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 99.7 102.3 104.6 106.7 0.0 0.0
2nd Quartile Price 0.0 99.7 102.4 104.7 106.7 0.0 0.0
3rd Quartile Price 0.0 99.7 102.4 104.7 106.7 0.0 0.0
4th Quartile Price 0.0 99.7 102.4 104.7 106.7 0.0 0.0
Avg. Price Top 5 Trades 0.0 99.7 102.5 104.7 106.7 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 2,834,000.0 5,307,550.0 870,800.0 17,050.0 0.0 0.0
     NUMBER OF TRADES 0 30 144 85 11 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 102.4 104.6 * 0.0 0.0
Weighted Avg. Price 0.0 0.0 102.4 104.6 * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 102.4 104.6 * 0.0 0.0
2nd Quartile Price 0.0 0.0 * 104.6 * 0.0 0.0
3rd Quartile Price 0.0 0.0 * 104.7 * 0.0 0.0
4th Quartile Price 0.0 0.0 * 104.7 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 102.4 104.6 * 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 265,000.0 745,500.0 * 0.0 0.0
     NUMBER OF TRADES 0 0 5 9 * 0 0
GNMA
AVERAGE PRICE 0.0 100.9 103.4 104.9 105.9 * 0.0
Weighted Avg. Price 0.0 100.9 103.4 104.9 105.9 * 0.0
Avg. Price Bottom 5 Trades 0.0 100.8 103.4 104.9 105.9 * 0.0
2nd Quartile Price 0.0 100.8 103.4 104.9 105.9 * 0.0
3rd Quartile Price 0.0 100.9 103.4 104.9 105.9 * 0.0
4th Quartile Price 0.0 100.9 103.4 104.9 105.9 * 0.0
Avg. Price Top 5 Trades 0.0 100.9 103.5 104.9 105.9 * 0.0
Standard Deviation 0.0 0.0 0.0 0.1 0.1 * 0.0
     VOLUME OF TRADES (000'S) 0.0 155,500.0 2,897,200.0 224,000.0 132,000.0 * 0.0
     NUMBER OF TRADES 0 36 110 57 9 * 0
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-Interactive Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.